Gustano: firstly im making 2 assumptions.
1. your problem is the same as the OP:
2: that you are extracting all 3 files to both the age of empires directory and the subdirectory created by conquerors.
If this is the case you may not have the specific Permissions to initiate Direct3D under your system so i would suggest selecting Run as Administrator" under the file options.
see if that helps